Related papers: Arbitrage on Decentralized Exchanges
We consider the use of pricing as a regulatory mechanism when an unknown number of autonomous agents compete for access to a shared resource (possibly limited in volume or capacity). In standard dynamic pricing control systems, an…
We consider the problem of decentralized power allocation for competitive rate-maximization in a frequency-selective Gaussian interference channel under bounded channel uncertainty. We formulate a distribution-free robust framework for the…
We consider a one-sided assignment market or exchange network with transferable utility and propose a model for the dynamics of bargaining in such a market. Our dynamical model is local, involving iterative updates of 'offers' based on…
We investigate the market microstructure of Automated Market Makers (AMMs), the most prominent type of blockchain-based decentralized exchanges. We show that the order execution mechanism yields token value loss for liquidity providers if…
Standard jump-diffusion models assume independence between jumps and diffusion components. We develop a multi-type jump-diffusion model where jump occurrence and magnitude depend on contemporaneous diffusion movements. Unlike previous…
This is the third paper in a series concerning the game-theoretic aspects of position-building while in competition. The first paper set forth foundations and laid out the essential goal, which is to minimize implementation costs in light…
The future power system is increasingly interconnected via both AC and DC interconnectors. These interconnectors establish links between previously decoupled energy markets. In this paper, we propose an optimal multi-market energy storage…
We study a class of iterative combinatorial auctions which can be viewed as subgradient descent methods for the problem of pricing bundles to balance supply and demand. We provide concrete convergence rates for auctions in this class,…
In multi-agent reinforcement learning systems, the actions of one agent can have a negative impact on the rewards of other agents. One way to combat this problem is to let agents trade their rewards amongst each other. Motivated by this,…
A recent approach to automated mechanism design, differentiable economics, represents auctions by rich function approximators and optimizes their performance by gradient descent. The ideal auction architecture for differentiable economics…
We consider portfolio selection under nonparametric $\alpha$-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion. Implied demand functions are…
We define a class of pure exchange Edgeworth trading processes that under minimal assumptions converge to a stable set in the space of allocations, and characterise the Pareto set of these processes. Choosing a specific process belonging to…
There are several aspects of data markets that distinguish them from a typical commodity market: asymmetric information, the non-rivalrous nature of data, and informational externalities. Formally, this gives rise to a new class of games…
Decentralized exchanges (DEXes) have evolved dramatically since the introduction of Automated Market Makers (AMMs). In recent years, solver-based protocols have emerged as an alternative venue aiming to introduce competition for routing,…
We examine market outcomes in energy transport networks with a focus on gas-fired generators, which are producers in a wholesale electricity market and consumers in the natural gas market. Market administrators monitor bids to determine…
We address the problem of maximizing Gain from Trade (GFT) in repeated buyer-seller exchanges subject to global budget balance constraints. While this problem is well-understood in purely adversarial and stochastic settings, these…
Decentralized exchanges (DEXs) are crucial to decentralized finance (DeFi) as they enable trading without intermediaries. However, they face challenges like impermanent loss (IL), where liquidity providers (LPs) see their assets' value…
In peer-to-peer (P2P) energy trading, a secured infrastructure is required to manage trade and record monetary transactions. A central server/authority can be used for this. But there is a risk of central authority influencing the energy…
We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-free asset to maximize her preference value of consumption…
We develop a novel framework for computing the total valuation adjustment (XVA) of a European claim accounting for funding costs, counterparty credit risk, and collateralization. Based on no-arbitrage arguments, we derive the nonlinear…